Lactococcus lactis, the model lactic acid bacterium (LAB), is a food grade and well-characterized Gram positive bacterium. It is a good candidate for heterologous protein delivery in foodstuff or in the digestive tract. L. lactis can also be used as a protein producer in fermentor. Many heterologous proteins have already been produced in L. lactis but only few reports allow comparing production yields for a given protein either produced intracellularly or secreted in the medium. Here, we review several works evaluating the influence of the localization on the production yields of several heterologous proteins produced in L. lactis. The questions of size limits, conformation, and proteolysis are addressed and discussed with regard to protein yields. These data show that i) secretion is preferable to cytoplasmic production; ii) secretion enhancement (by signal peptide and propeptide optimization) results in increased production yield; iii) protein conformation rather than protein size can impair secretion and thus alter production yields; and iv) fusion of a stable protein can stabilize labile proteins. The role of intracellular proteolysis on heterologous cytoplasmic proteins and precursors is discussed. The new challenges now are the development of food grade systems and the identification and optimization of host factors affecting heterologous protein production not only in L. lactis, but also in other LAB species.